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SOXS vs. TZA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SOXSTZA
YTD Return-59.42%-43.10%
1Y Return-72.69%-60.90%
3Y Return (Ann)-61.12%-19.97%
5Y Return (Ann)-76.08%-48.50%
10Y Return (Ann)-65.73%-40.53%
Sharpe Ratio-0.74-1.04
Sortino Ratio-1.23-1.79
Omega Ratio0.860.79
Calmar Ratio-0.76-0.67
Martin Ratio-1.23-1.66
Ulcer Index61.72%40.57%
Daily Std Dev102.42%64.80%
Max Drawdown-100.00%-100.00%
Current Drawdown-100.00%-100.00%

Correlation

-0.50.00.51.00.5

The correlation between SOXS and TZA is 0.46, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

SOXS vs. TZA - Performance Comparison

In the year-to-date period, SOXS achieves a -59.42% return, which is significantly lower than TZA's -43.10% return. Over the past 10 years, SOXS has underperformed TZA with an annualized return of -65.73%, while TZA has yielded a comparatively higher -40.53% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-33.33%
SOXS
TZA

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SOXS vs. TZA - Expense Ratio Comparison

SOXS has a 1.08% expense ratio, which is lower than TZA's 1.11% expense ratio.


TZA
Direxion Daily Small Cap Bear 3X Shares
Expense ratio chart for TZA: current value at 1.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.11%
Expense ratio chart for SOXS: current value at 1.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.08%

Risk-Adjusted Performance

SOXS vs. TZA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Semiconductor Bear 3x Shares (SOXS) and Direxion Daily Small Cap Bear 3X Shares (TZA). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


SOXS
Sharpe ratio
The chart of Sharpe ratio for SOXS, currently valued at -0.74, compared to the broader market-2.000.002.004.006.00-0.74
Sortino ratio
The chart of Sortino ratio for SOXS, currently valued at -1.23, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.23
Omega ratio
The chart of Omega ratio for SOXS, currently valued at 0.86, compared to the broader market1.001.502.002.503.000.86
Calmar ratio
The chart of Calmar ratio for SOXS, currently valued at -0.76, compared to the broader market0.005.0010.0015.00-0.76
Martin ratio
The chart of Martin ratio for SOXS, currently valued at -1.23, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.23
TZA
Sharpe ratio
The chart of Sharpe ratio for TZA, currently valued at -1.04, compared to the broader market-2.000.002.004.006.00-1.04
Sortino ratio
The chart of Sortino ratio for TZA, currently valued at -1.79, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.79
Omega ratio
The chart of Omega ratio for TZA, currently valued at 0.79, compared to the broader market1.001.502.002.503.000.79
Calmar ratio
The chart of Calmar ratio for TZA, currently valued at -0.67, compared to the broader market0.005.0010.0015.00-0.67
Martin ratio
The chart of Martin ratio for TZA, currently valued at -1.66, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.66

SOXS vs. TZA - Sharpe Ratio Comparison

The current SOXS Sharpe Ratio is -0.74, which is comparable to the TZA Sharpe Ratio of -1.04. The chart below compares the historical Sharpe Ratios of SOXS and TZA, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.80-0.60-0.40JuneJulyAugustSeptemberOctoberNovember
-0.74
-1.04
SOXS
TZA

Dividends

SOXS vs. TZA - Dividend Comparison

SOXS's dividend yield for the trailing twelve months is around 7.09%, more than TZA's 6.63% yield.


TTM202320222021202020192018
SOXS
Direxion Daily Semiconductor Bear 3x Shares
7.09%9.21%0.19%0.00%3.55%2.32%0.76%
TZA
Direxion Daily Small Cap Bear 3X Shares
6.63%5.49%0.00%0.00%1.21%1.57%0.63%

Drawdowns

SOXS vs. TZA - Drawdown Comparison

The maximum SOXS drawdown since its inception was -100.00%, roughly equal to the maximum TZA drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for SOXS and TZA. For additional features, visit the drawdowns tool.


-100.00%-100.00%-99.99%-99.99%-99.98%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-99.99%
SOXS
TZA

Volatility

SOXS vs. TZA - Volatility Comparison

Direxion Daily Semiconductor Bear 3x Shares (SOXS) and Direxion Daily Small Cap Bear 3X Shares (TZA) have volatilities of 24.15% and 24.30%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


10.00%20.00%30.00%40.00%50.00%60.00%JuneJulyAugustSeptemberOctoberNovember
24.15%
24.30%
SOXS
TZA